In the books, the baby Gilly carries is not her son, but Mance Rayder's son. Jon forced her to switch the babies, fearing that Melisandre would sacrifice Mance's son. Gilly's baby (who was not given a name yet) remains at Castle Black.
The trivia items below may give away important plot points.
The first appearance (in a flashback) of king Aerys II Targaryen, commonly known as "the Mad King". The show runners initially planned on including flashbacks of him in the first season and shot scenes with Liam Burke, but were eventually deleted.
The episode title refers to a common phrase used between Dothraki khals and their bloodriders as an expression of devotion. It has an apparent double meaning as almost every story line involves a character being reunited with a family member ("their blood") after a long separation or incarceration: Samwell with his family; Bran with his uncle Benjen; Margaery with her father and grandmother; Edmure Tully is brought to the Riverlands as leverage against his uncle Brynden "Blackfish" Tully.
This episode marks the return of Benjen Stark, his first appearance since Game of Thrones: Lord Snow (2011). Benjen's fate has not been revealed yet in the books. Benjen's role bears several similarities to the book character Coldhands, a mysterious person who saves Sam and Gilly from wights, and later accompanies Bran and his party to the Three-Eyed Raven's cave. There is a popular fan theory that Coldhands is in fact Benjen Stark, though George R.R. Martin denied this when asked by his editor. It is unknown if this episode is confirming Coldhand's identity as Benjen or if the show runners are forming an amalgamation of the two characters within the series, as they referred to Benjen interchangeably as "Coldhands" in the making-of featurette.
In the books, Jaime leaves for the Riverlands on Cersei's command shortly after Tywin's death, and is not reluctant to go, but glad to get far from King's Landing - and from Cersei, whom he has grown to loathe.
In the books, Coldhands rides an elk, not a horse, when he saves Sam and Gilly in the third novel. He does not fight the wights himself; he controls a pack of ravens who attack the wights, pecking and tearing them apart. When Bran's group is attacked by wights in the fifth novel, he does not use a sickle and a flaming flail to fight, but a sword.